Reconciling value estimates from the discounted cash flow model and the residual income model

This paper examines why practitioners and researchers get different estimates of equity value when they use a discounted cash flow (CF) model versus a residual income (RI) model. Both models are derived from the same underlying assumption -- that price is the present value of expected future net dividends discounted at the cost of equity capital -- but in practice and in research they frequently yield different estimates. We argue that the research literature devoted to comparing the accuracy of these two models is misguided; properly implemented, both models yield identical valuations for all firms in all years. We identify how prior research has applied inconsistent assumptions to the two models and show how these seemingly small errors cause surprisingly large differences in the value estimates. [ABSTRACT FROM AUTHOR]

Efficient simulation of a Tandem Jackson Network

The two-node tandem Jackson network serves as a convenient reference model for the analysis and testing of different methodologies and techniques in rare event simulation. In this paper we consider a new approach to efficiently estimate the probability that the content of the second buffer exceeds some high level L before it becomes empty, starting from a given state. The approach is based on a Markov additive process representation of the buffer processes, leading to an exponential change of measure to be used in an importance sampling procedure. Unlike changes of measures proposed and studied in recent literature, the one derived here is a function of the content of the first buffer. We prove that when the first buffer is finite, this method yields asymptotically efficient simulation for any set of arrival and service rates. In fact, the relative error is bounded independent of the level L; a new result which is not established for any other known method. When the first buffer is infinite, we propose a natural extension of the exponential change of measure for the finite buffer case. In this case, the relative error is shown to be bounded (independent of L) only when the second server is the bottleneck; a result which is known to hold for some other methods derived through large deviations analysis. When the first server is the bottleneck, experimental results using our method seem to suggest that the relative error is bounded linearly in L.

Simulation of interface states effect on the scanning capacitance microscopy measurement of p-n junctions

A two-dimensional numerical simulation model of interface states in scanning capacitance microscopy (SCM) measurements of p-n junctions is presented-In the model, amphoteric interface states with two transition energies in the Si band gap are represented as fixed charges to account for their behavior in SCM measurements. The interface states are shown to cause a stretch-out-and a parallel shift of the capacitance-voltage characteristics in the depletion. and neutral regions of p-n junctions, respectively. This explains the discrepancy between - the SCM measurement and simulation near p-n junctions, and thus modeling interface states is crucial for SCM dopant profiling of p-n junctions. (C) 2002 American Institute of Physics.

Economic and environmental impacts of pollution control in a system of environment and economic interdependence

The importance of the rate of change of the pollution stock in determining the damage to the environment has been an issue of increasing concern in the literature. This paper uses a three-sector (economy, population and environment), non-linear, discrete time, calibrated model to examine pollution control. The model explicitly links economic growth to the health of the environment. The stock of natural resources is affected by the rate of pollution flows, through their impact on the regenerative capacity of the natural resource stock. This can shed useful insights into pollution control strategies, particularly in developing countries where environmental resources are crucial for production in many sectors of the economy. Simulation exercises suggested that, under plausible assumptions, it is possible to reverse undesirable transient dynamics through pollution control expenditure, but this is dependent upon the strategies used for control. The best strategy is to spend money fostering the development of production technologies that reduce pollution rather than spending money dealing with the effects of the pollution flow into the environment. (C) 2001 Elsevier Science Ltd. All rights reserved.

On the importance function in splitting simulation

The splitting method is a simulation technique for the estimation of very small probabilities. In this technique, the sample paths are split into multiple copies, at various stages in the simulation. Of vital importance to the efficiency of the method is the Importance Function (IF). This function governs the placement of the thresholds or surfaces at which the paths are split. We derive a characterisation of the optimal IF and show that for multi-dimensional models the natural choice for the IF is usually not optimal. We also show how nearly optimal splitting surfaces can be derived or simulated using reverse time analysis. Our numerical experiments illustrate that by using the optimal IF, one can obtain a significant improvement in simulation efficiency.

Benchmarking nitrogen removal suspended-carrier biofilm systems using dynamic simulation

We are witnessing an enormous growth in biological nitrogen removal from wastewater. It presents specific challenges beyond traditional COD (carbon) removal. A possibility for optimised process design is the use of biomass-supporting media. In this paper, attached growth processes (AGP) are evaluated using dynamic simulations. The advantages of these systems that were qualitatively described elsewhere, are validated quantitatively based on a simulation benchmark for activated sludge treatment systems. This simulation benchmark is extended with a biofilm model that allows for fast and accurate simulation of the conversion of different substrates in a biofilm. The economic feasibility of this system is evaluated using the data generated with the benchmark simulations. Capital savings due to volume reduction and reduced sludge production are weighed out against increased aeration costs. In this evaluation, effluent quality is integrated as well.

Dopant extraction from scanning capacitance microscopy measurements of p-n junctions using combined inverse modeling and forward simulation

This article proposes a more accurate approach to dopant extraction using combined inverse modeling and forward simulation of scanning capacitance microscopy (SCM) measurements on p-n junctions. The approach takes into account the essential physics of minority carrier response to the SCM probe tip in the presence of lateral electric fields due to a p-n junction. The effects of oxide fixed charge and interface state densities in the grown oxide layer on the p-n junction samples were considered in the proposed method. The extracted metallurgical and electrical junctions were compared to the apparent electrical junction obtained from SCM measurements. (C) 2002 American Institute of Physics.

Shear stress and sediment transport calculations for sheet flow under waves

A simple method is provided for calculating transport rates of not too fine (d(50) greater than or equal to 0.20 mm) sand under sheet flow conditions. The method consists of a Meyer-Peter-type transport formula operating on a time-varying Shields parameter, which accounts for both acceleration-asymmetry and boundary layer streaming. While velocity moment formulae, e.g.., = Constant x calibrated against U-tube measurements, fail spectacularly under some real waves (Ribberink, J.S., Dohmen-Janssen, C.M., Hanes, D.M., McLean, S.R., Vincent, C., 2000. Near-bed sand transport mechanisms under waves. Proc. 27th Int. Conf. Coastal Engineering, Sydney, ASCE, New York, pp. 3263-3276, Fig. 12), the new method predicts the real wave observations equally well. The reason that the velocity moment formulae fail under these waves is partly the presence of boundary layer streaming and partly the saw-tooth asymmetry, i.e., the front of the waves being steeper than the back. Waves with saw-tooth asymmetry may generate a net landward sediment transport even if = 0, because of the more abrupt acceleration under the steep front. More abrupt accelerations are associated with thinner boundary layers and greater pressure gradients for a given velocity magnitude. The two real wave effects are incorporated in a model of the form Q(s)(t) = Q(s)[theta(t)] rather than Q(S)(t) = Q(S)[u(infinity)(t)], i.e., by expressing the transport rate in terms of an instantaneous Shields parameter rather than in terms of the free stream velocity, and accounting for both streaming and accelerations in the 0(t) calculations. The instantaneous friction velocities u(*)(t) and subsequently theta(t) are calculated as follows. Firstly, a linear filter incorporating the grain roughness friction factor f(2.5) and a phase angle phi(tau) is applied to u(infinity)(t). This delivers u(*)(t) which is used to calculate an instantaneous grain roughness Shields parameter theta(2.5)(t). Secondly, a constant bed shear stress is added which corresponds to the streaming related bed shear stress -rho ($) over bar((u) over tilde(w) over tilde)(infinity) . The method can be applied to any u(infinity)(t) time series, but further experimental validation is recommended before application to conditions that differ strongly from the ones considered below. The method is not recommended for rippled beds or for sheet flow with typical prototype wave periods and d(50) < 0.20 turn. In such scenarios, time lags related to vertical sediment movement become important, and these are not considered by the present model. (C) 2002 Elsevier Science B.V. All rights reserved.

Vertical fluxes of sediment in oscillatory sheet flow

Time series of vertical sediment fluxes are derived from concentration time series in sheet flow under waves. While the concentrations C(z,t) vary very little with time for \z\ < 10d(50), the measured vertical sediment fluxes Q(zs)(z,t) vary strongly with time in this vertical band and their time variation follows, to some extent, the variation of the grain roughness Shields parameter 02,5(t). Thus, sediment distribution models based on the pickup function boundary condition are in some qualitative agreement with the measurements. However, the pickup function models are only able to model the upward bursts of sediment during the accelerating phases of the flow. They are, so far, unable to model the following strong downward sediment fluxes, which are observed during the periods of flow deceleration. Classical pickup functions, which essentially depend on the Shields parameter, are also incapable of modelling the secondary entrainment fluxes, which sometimes occur at free stream velocity reversal. The measured vertical fluxes indicate that the effective sediment settling velocity in the high [(0.3 < C(z,t) < 0.4] concentration area is typically only a few percent of the clear water settling velocity, while the measurements of Richardson and Jeronimo [Chem. Eng. Sci. 34 (1979) 1419], from a different physical setting, lead to estimates of the order 20%. The data does not support gradient diffusion as a model for sediment entrainment from the bed. That is, detailed modelling of the observed near-bed fluxes would require diffusivities that go negative during periods of flow deceleration. An observed general trend for concentration variability to increase with elevation close to the bed is also irreconcilable with diffusion models driven by a bottom boundary condition. (C) 2002 Published by Elsevier Science B.V.

Investigation of the flow field of a highly heated jet of air

Measurements of mean and fluctuating velocity and temperature and their self- and cross-products to the third-order are presented for a heated axisymmetric air jet. Froude numbers in the range of 3500 13,190, Reynolds numbers in the range of 3470-8500 and non-dimensional streamwise distances. X*, from 0.27 to 1.98 are covered by the data. It was found that turbulence intensity decreases for the heated jet in the region between the inertia dominated and the buoyancy dominated regions which is contrary to findings with helium jets mixing with ambient air to produce density fluctuations. The effects of heating on the turbulent kinetic energy budget and the temperature variance budget show small differences for the inertia dominated region and the intermediate region which help to explain the transition process to the far field plume region. Constants are evaluated for the isotropic eddy diffusivity and generalised gradient hypothesis models as well as the scalar variance model. No significant effect of heating on the dissipation time-scale ratio was found. A novel wire array with an inclined cold wire was used. Measurements obtained with this probe are found to lead to asymmetries in some of the higher-order products. Further investigation suggested that the asymmetries are attributable to an as yet unreported interference effect produced by the leading prong of the inclined temperature wire, The effect may also have implications for inclined velocity wires which contain a temperature component when used in heated flows. (C) 2002 Elsevier Science Inc. All rights reserved.

Air-water flows down stepped chutes: turbulence and flow structure observations

Interactions between turbulent waters and atmosphere may lead to strong air-water mixing. This experimental study is focused on the flow down a staircase channel characterised by very strong flow aeration and turbulence. Interfacial aeration is characterised by strong air-water mixing extending down to the invert. The size of entrained bubbles and droplets extends over several orders of magnitude, and a significant number of bubble/droplet clusters was observed. Velocity and turbulence intensity measurements suggest high levels of turbulence across the entire air-water flow. The increase in turbulence levels, compared to single-phase flow situations, is proportional to the number of entrained particles. (C) 2002 Elsevier Science Ltd. All rights reserved.

Universal quantum computation and simulation using any entangling Hamiltonian and local unitaries

What interactions are sufficient to simulate arbitrary quantum dynamics in a composite quantum system? We provide an efficient algorithm to simulate any desired two-body Hamiltonian evolution using any fixed two-body entangling n-qubit Hamiltonian and local unitary operations. It follows that universal quantum computation can be performed using any entangling interaction and local unitary operations.

Universal simulation of Hamiltonian dynamics for quantum systems with finite-dimensional state spaces

What interactions are sufficient to simulate arbitrary quantum dynamics in a composite quantum system? Dodd [Phys. Rev. A 65, 040301(R) (2002)] provided a partial solution to this problem in the form of an efficient algorithm to simulate any desired two-body Hamiltonian evolution using any fixed two-body entangling N-qubit Hamiltonian, and local unitaries. We extend this result to the case where the component systems are qudits, that is, have D dimensions. As a consequence we explain how universal quantum computation can be performed with any fixed two-body entangling N-qudit Hamiltonian, and local unitaries.

Observations of foehn onset in the Southern Alps, New Zealand

Local scale windfield and air mass characteristics during the onset of two foehn wind events in an alpine hydro-catchment are presented. Grounding of the topographically modified foehn was found to be dependent on daytime surface heating and topographic channelling of flow. The foehn front was observed to advance down-valley until the valley widened significantly. The foehn wind appeared to decouple from the surface downstream of the accelerated flow associated with the valley constriction. and to be lifted above local thermally generated circulations including a lake breeze. Towards evening. the foehn front retreated up valley in response to reduced surface heating and the intrusion into the study area of a deep and cool air mass associated with a regional scale mountain-plain circulation. Differences in the local windfield observed during both case study events reflect the importance of different thermal and dynamic forcings on airflow in complex terrain. These are the result of variation in surface energy exchanges, channelling and blocking of airflow. Observations presented here have both theoretical and applied implications with regard to forecasting foehn onset, wind hazard management, recreational activities and air quality management in alpine settings.